Shouldn't be a problem assuming you have a state machine.
In EE (assuming I handled loading errors like that) I'd do:
EE::Sys().AddScreen(new EECrashScreen("Error loading texture smt smt ect.");
EE::Sys() is acess to game core functions and classes and EECrashScreen would be a state that quits the game on any input and only displays the sf::Text with the std string passed to it.
For simplicity I'd also create inline functions like that:
inline void EECriticalTextureLoad(sf::Texture& gtex,const std::string& gstring)
{
if(!gtex.loadFromFile(gstring))
EE::Sys().AddScreen(new EECrashScreen("Error loading texture "+gstring);
}
But I (still) don't know how your state engine is laid out so I don't know how much use it is to you.
You could also generate file called CRAPSGAME_ERROR.txt(so the big letters catch attention) near the .exe and dump your crash report there.